lychiyu/bbgo_origin
1
0
Fork 0
mirror of https://github.com/c9s/bbgo.git synced 2024-11-10 09:11:55 +00:00
Code Issues Actions Packages Projects Releases Wiki Activity

exits/trailingstop: shouldStop() only works after enough data collected

Browse Source
This commit is contained in:
Andy Cheng 2023-03-20 15:56:51 +08:00
parent 170d41a492
commit 1f3579e3ec
No known key found for this signature in database
GPG Key ID: 936427CF651A9D28
1 changed files with 11 additions and 5 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

16
pkg/bbgo/exit_hh_ll_stop.go
View File

@ -62,14 +62,14 @@ func (s *HigherHighLowerLowStop) updateActivated(position *types.Position, close
r := fixedpoint.One.Add(s.DeactivationRatio)
if closePrice.Compare(position.AverageCost.Mul(r)) >= 0 {
s.activated = false
Notify("[hhllStop] Stop of %s deactivated for long position, deactivation ratio %f:", s.Symbol, s.DeactivationRatio)
Notify("[hhllStop] Stop of %s deactivated for long position, deactivation ratio %s:", s.Symbol, s.DeactivationRatio.Percentage())
}
} else if position.IsShort() {
r := fixedpoint.One.Sub(s.DeactivationRatio)
// for short position, if the close price is less than the activation price then this is a profit position.
if closePrice.Compare(position.AverageCost.Mul(r)) <= 0 {
s.activated = false
Notify("[hhllStop] Stop of %s deactivated for short position, deactivation ratio %f:", s.Symbol, s.DeactivationRatio)
Notify("[hhllStop] Stop of %s deactivated for short position, deactivation ratio %s:", s.Symbol, s.DeactivationRatio.Percentage())
}
}
} else {
@ -77,20 +77,22 @@ func (s *HigherHighLowerLowStop) updateActivated(position *types.Position, close
r := fixedpoint.One.Add(s.ActivationRatio)
if closePrice.Compare(position.AverageCost.Mul(r)) >= 0 {
s.activated = true
Notify("[hhllStop] Stop of %s activated for long position, activation ratio %f:", s.Symbol, s.ActivationRatio)
Notify("[hhllStop] Stop of %s activated for long position, activation ratio %s:", s.Symbol, s.ActivationRatio.Percentage())
}
} else if position.IsShort() {
r := fixedpoint.One.Sub(s.ActivationRatio)
// for short position, if the close price is less than the activation price then this is a profit position.
if closePrice.Compare(position.AverageCost.Mul(r)) <= 0 {
s.activated = true
Notify("[hhllStop] Stop of %s activated for short position, activation ratio %f:", s.Symbol, s.ActivationRatio)
Notify("[hhllStop] Stop of %s activated for short position, activation ratio %s:", s.Symbol, s.ActivationRatio.Percentage())
}
}
}
}
func (s *HigherHighLowerLowStop) updateHighLowNumber(kline types.KLine) {
s.klines.Truncate(s.Window - 1)
if s.klines.Len() > 0 {
if s.klines.GetHigh().Compare(kline.GetHigh()) < 0 {
s.highLows = append(s.highLows, types.DirectionUp)
@ -114,10 +116,14 @@ func (s *HigherHighLowerLowStop) updateHighLowNumber(kline types.KLine) {
}
s.klines.Add(kline)
s.klines.Truncate(s.Window - 1)
}
func (s *HigherHighLowerLowStop) shouldStop(position *types.Position) bool {
if s.klines.Len() < s.Window || len(s.highLows) < s.HighLowWindow {
log.Debugf("[hhllStop] not enough data for %s yet", s.Symbol)
return false
}
if s.activated {
highs := 0
lows := 0